Here are a few variations, but try them out before you commit. Some work better for seaming and picking up than others, and some are more attractive than others.
Slip Stitch edge
My favorite slip stitch selvedge, for edges that will be visible, and not sewn, is this one.
On every row: Slip the first stitch purlwise, work to the last stitch, knit the last stitch. This forms an attractive chain up the edge of your knitting, and works best when used with a non-curling border, like garter stitch. For example, this is the edge I used in the Sweet Oak Shawl.
In ultimate knitting bible by sharon brant, the slip stitch edge is described a little differently. Sharon Brant says to slip the stitch knitwise on purl rows, and does not say to knit the last stitch.
Garter Stitch Edge
The easiest selvedge, just knit the first and last stitch of every row. Good for side seams, because the garter stitch bumps help you line up your rows. It does make your seam a little bumpy though.
Double Edge
Another one from Ultimate Knitting Bible, this looks really nice, but is best for an edge that won't be sewn. If you have baggy stitches on your right edge on stocking stitch (a common problem, this happens because the tension at the beginning of a purl row tends to be looser) this helps tidy up those edge stitches.
For a snug, garter stitch double edge stitch: On every row: Slip first stitch knitwise through back loop, knit 1 stitch, work to last 2 stitches, knit 2.
For a chain stitch double edge: On every row: Slip the first stitch purlwise, knit 1 stitch, work to last 2 stitches, knit 2.
For some expert advice on edge stitches, check out Techknitter's article.